Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean

Fuente: arXiv

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Bibliographic Details
Main Authors:	Arratia, Argimiro, Gzyl, Henryk
Format:	Preprint
Published:	2025
Subjects:	Optimization and Control Computational Finance Portfolio Management Risk Management 91B24, 91B28, 91B30, 90C25
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2507.07053